Stochastic adaptive search for global optimization.
type: Item
instance of: scholarly article
title: Stochastic adaptive search for global optimization.
zbMATH Open document ID: 1044.90001
author: Zelda B. Zabinsky
published in: Nonconvex Optimization and Its Applications
publication date: 2003-11-18T00:00:00Z
review text: Global optimization methods using randomised search strategies are considered. Such methods are popular among engineers and applied scientists since they are applicable to the problems characterised as ``black box'' optimization. Well known representatives of stochastic global optimization methods are simulated annealing and evolutionary optimization methods. The focus of the book is on theoretical aspects of several versions of random search methods. The book consits of seven chapters. The first chapter is an introduction, the seventh chapter is devoted to engineering applications, and the other five chapters consider theoretical properties of varios random search methods. In Chapter 2 two algorithms are considered: pure random search and pure adaptive search. The first algorithm choses the trial points randomly according to uniform distribution over the feasible region. The second algorithm distributes the points uniformly over the prospective subregion. The last algorithm is mainly theoretical. Its more applicable version called Hesitant Adaptive Search is considered in Chapter 3. The most important result of the considered algorithms is the assessment of their performance measured as the number of iterations until the convergence. In Chapter 4 the cooling schedule for a simulated annealing based random search algorithm is analysed, and performance of the annealing adaptive search is evaluated. Chapters 5 and 6 consider further steps toward more realistic algorithms. Different versions of random search algorithms aiming at approximating the attractive theoretical method, Pure Adaptive Search, are considered: backtracking adaptive search, hit-and run and its related versions. Here, under the name backtracking, are considered the algorithms allowing the backtrack, i.e. accepting points with worse objective function values. The Hit-and-Run methods take steps of random length in randomly generated directions. The analysis of the performance of these methods is based …
Mathematics Subject Classification ID: 90-02
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C26
zbMATH DE Number: 2005715
zbMATH Keywords: global optimization
zbMATH Keywords: random search
zbMATH Keywords: Monte-Carlo method
zbMATH Keywords: Markov chain method
zbMATH Keywords: optimal design
zbMATH Keywords: engineering applications
zbMATH Keywords: pure adaptive search
zbMATH Keywords: Hesitant Adaptive Search
zbMATH Keywords: simulated annealing
zbMATH Keywords: backtracking adaptive search
zbMATH Keywords: hit-and run
reviewed by: Antanas Žilinskas
MaRDI profile type: MaRDI publication profile
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description: scientific article; zbMATH DE number 2005715